Sequential auctions with informational externalities and aversion to price risk: decreasing and increasing price sequences

Mezzetti, Claudio (2011) Sequential auctions with informational externalities and aversion to price risk: decreasing and increasing price sequences. Economic Journal, 121 555: 990-1016. doi:10.1111/j.1468-0297.2011.02438.x


Author Mezzetti, Claudio
Title Sequential auctions with informational externalities and aversion to price risk: decreasing and increasing price sequences
Journal name Economic Journal   Check publisher's open access policy
ISSN 0013-0133
1468-0297
Publication date 2011-09
Sub-type Article (original research)
DOI 10.1111/j.1468-0297.2011.02438.x
Open Access Status Not Open Access
Volume 121
Issue 555
Start page 990
End page 1016
Total pages 27
Place of publication Chichester, West Sussex United Kingdom
Publisher Wiley-Blackwell Publishing
Language eng
Abstract A large body of empirical research has shown that prices of identical goods sold sequentially sometimes increase and often decline across rounds. This article introduces a tractable form of risk aversion, called aversion to price risk, and shows that declining prices arise naturally when bidders are averse to price risk. When there are informational externalities, there is a countervailing effect which pushes prices to raise along the path of a sequential auction, even if bidder's signals are independent. The article shows how to decompose the effect of aversion to price risk from the effect of informational externalities.
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status Non-UQ

Document type: Journal Article
Sub-type: Article (original research)
Collection: School of Economics Publications
 
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Created: Thu, 02 Jun 2016, 12:41:14 EST by Karen Warren on behalf of School of Economics